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DC Field | Value | Language |
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dc.contributor.author | Anderl, C | - |
dc.contributor.author | Caporale, GM | - |
dc.date.accessioned | 2023-12-10T12:08:00Z | - |
dc.date.available | 2023-12-10T12:08:00Z | - |
dc.date.issued | 2024-01-30 | - |
dc.identifier | ORCID iD: Christina Anderl https://orcid.org/0000-0001-6770-6698 | - |
dc.identifier | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier.citation | Anderl, C. and Caporale, G.M. (2024) 'Time-varying parameters in monetary policy rules: a GMM approach', Journal of Economic Studies, 51 (9), pp. 148 - 176. doi: 10.1108/JES-06-2023-0289. | en_US |
dc.identifier.issn | 0144-3585 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/27834 | - |
dc.description | The supplementary material for this article can be found online at: https://www.emerald.com/insight/content/doi/10.1108/JES-06-2023-0289/full/html#supplementary-tab . | - |
dc.description | JEL Classification: C14; C52; E52; E58 | - |
dc.description.abstract | Purpose: The article aims to establish whether the degree of aversion to inflation and the responsiveness to deviations from potential output have changed over time. Design/methodology/approach: This paper assesses time variation in monetary policy rules by applying a time-varying parameter generalised methods of moments (TVP-GMM) framework. Findings: Using monthly data until December 2022 for five inflation targeting countries (the UK, Canada, Australia, New Zealand, Sweden) and five countries with alternative monetary regimes (the US, Japan, Denmark, the Euro Area, Switzerland), we find that monetary policy has become more averse to inflation and more responsive to the output gap in both sets of countries over time. In particular, there has been a clear shift in inflation targeting countries towards a more hawkish stance on inflation since the adoption of this regime and a greater response to both inflation and the output gap in most countries after the global financial crisis, which indicates a stronger reliance on monetary rules to stabilise the economy in recent years. It also appears that inflation targeting countries pay greater attention to the exchange rate pass-through channel when setting interest rates. Finally, monetary surprises do not seem to be an important determinant of the evolution over time of the Taylor rule parameters, which suggests a high degree of monetary policy transparency in the countries under examination. Originality/value: It provides new evidence on changes over time in monetary policy rules. | en_US |
dc.format.extent | 148 - 176 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Emerald | en_US |
dc.relation.uri | https://www.cesifo.org/DocDL/cesifo1_wp10451.pdf | - |
dc.relation.uri | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4466677 | - |
dc.rights | Copyright © 2024, Christina Anderl and Guglielmo Maria Caporale. License: Published by Emerald Publishing Limited. This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at https://creativecommons.org/licences/by/4.0/legalcode | - |
dc.rights.uri | https://creativecommons.org/licences/by/4.0/l | - |
dc.subject | Taylor rules | en_US |
dc.subject | monetary policy rules | en_US |
dc.subject | generalised methods of moments | en_US |
dc.subject | time-varying parameters | en_US |
dc.title | Time-varying parameters in monetary policy rules: a GMM approach | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1108/JES-06-2023-0289 | - |
dc.relation.isPartOf | Journal of Economic Studies | - |
pubs.issue | 9 | - |
pubs.publication-status | Published | - |
pubs.volume | 51 | - |
dc.identifier.eissn | 1758-7387 | - |
dc.rights.license | https://creativecommons.org/licences/by/4.0/legalcode.en | - |
dc.rights.holder | Christina Anderl and Guglielmo Maria Caporale | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © 2024, Christina Anderl and Guglielmo Maria Caporale. License: Published by Emerald Publishing Limited. This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at https://creativecommons.org/licences/by/4.0/legalcode | 2.19 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License